Does anyone know a market that sells or specializes in freshly-killed lamb meat?

Lamb, no. Goat, yes.
You will find freshly killed goat in most wet markets. If you have Muslims living in your area, you will definitely find goat in you local market.
Lamb however is hard to find. I have yet to see any sheep around Kunming. Personally I prefer goat meat, as it is less fatty.

HA! I always thought it was mutton. Anyway it was good. Usually, I bought the thinly sliced frozen rolled stuff (for hot pot) from C4 or Metro. Great for stir fry with onions and chilies.